A trick of the credit tail

Credit derivatives

The structured credit market has grown rapidly in recent years with the use of synthetic collateralised debt obligations (CDOs), which allow issuers to sell a particular tranche of a portfolio hedged with more simple instruments such as single-name credit default swaps. One problem in the early development of the CDO market was the fact that correlation was a key input to the pricing but was a rather opaque quantity. The development of the index tranche market in 2004 provided a solution to this

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here